使用門檻共整合模型來探討台灣豬肉市場不對稱的價格傳遞過程

A Threshold Cointegration Test on Asymmetric Price Transmission in the Taiwan Pork Market

應用Tray（1998）多變量門檻模型之概念，本研究探討台灣豬肉市場1981年1月至2014年12月不對稱的價格傳遞過程。在假設7期前產地價格變動為門檻變數之下，探討產地價格變動與零售價格變動之間傳遞過程是否存在不對稱的關係。研究結果發現，若不考慮不對稱關係時，產地價格變動與零售價格變動之間存在互為反饋的關係，且兩者方程式內的誤差修正項均是負值且統計上非常顯著。然而在非線性（不對稱）模型之下，本研究發現當7期前的產地價格為上漲時，產地價格改變與零售價格改變之間存在長期及短期的互為反饋之關係；亦即，過去的零售（產地）價格的改變是會影響當期的產地（零售）價格的改變，此外，其誤差也有向均衡調整的傾向，產地價格調整回均衡大約需要7個月（豬隻成長所需時間），而零售價格則需約12個月才能調整回均衡。但當7期前的產地價格為下跌時，產地價格改變與零售價格改變之間只存在短期的產地價格領先零售價地的單向Granger因果關係，且兩價格之間的誤差也沒有向均衡調整的傾向。

Employing monthly data from January 1981 through December 2014 and applying Tsay’s (1998) multivariate threshold model, this paper investigates if there exists an asymmetric relationship between producer price change and retail price change using 7th period ahead producer price change as a threshold variable. It is found that there exist a significant feedback relationship between producer and retail price if one does not take asymmetry into consideration. In addition, the error correction terms in both producer price change and retail price change equations are negatively significant. Under asymmetric model this study found that if the 7th period ahead producer price was increased, then a short-and longterm feedback relationship exists between the producer price change and the retail price change. It implied that the previous retail (producer) price change can be predicted the current producer (retail) price change. Moreover, the error correction term showed a tendency toward the equilibrium in the long run. However, if the 7th period ahead producer price was decreased, then there exists only a short-term Granger causality running from producer price to retail price. Moreover, the error correction terms showed no sign to adjust toward the long-term equilibrium.